Interarrival Times

LECTURE 15 Poisson process II Readings: Finish Section 6.2. Review of Poisson process Merging and splitting Examples Random incidence

Yk time of kth arrival

Review

!
0

Erlang distribution: Dening characteristics f (y ) =

N is a Poisson r.v., with parameter : k=3 ( )k e P (k, ) = , k = 0, 1, . . . y k!

Yk Independence (k 1)! Small interval probabilities (small ): fY (y) k 1 , if k = 0, P (k, ) , if k = 1, k=1 0 , if k > 1. k=2

Time homogeneity : yP (k, ) k y k1e

y0

[N ] = var(interarrival N ) = E First-order times (k = 1): exponential Interarrival times (k = 1): exponential: y0 fY1 (y ) = ey , E[T1] = 1/ fT1 (t) = et, t 0, Memoryless property: The time to the next arrival is independent of the past Time Yk to kth arrival: Erlang(k): fYk (y ) = k y k1ey , (k 1)! y0

Adding Poisson Processes Sum of independent Poisson random variables is Poisson

Merging Poisson Processes (again)

Poisson shing Assume: Poisson, = 0.6/hour. Fish for two hours. if no catch, continue until rst catch. a) P(sh for more than two hours)=

Sum of independent Poisson processes Merging of independent Poisson processes is is Poisson Poisson
Red bulb flashes (Poisson) "1 "2 All flashes (Poisson)

b) P(sh for more than two and less than ve hours)=

Green bulb flashes (Poisson)

c) P(catch at least two sh)=

What is is the next What theprobability probability that that the the next arrival comes from the rst process? arrival comes from the rst process?

d) E[number of sh]=

e) E[future shing time | shed for four hours]= f) E[total shing time]=

Light bulb example Each light bulb has independent, exponential() lifetime Install three light bulbs. Find expected time until last light bulb dies out.

Splitting of of Poisson Poisson processes Splitting processes Assume that email trac through a server Each message is routed along the rst is a Poisson process. stream with probability p Destinations of dierent messages are

independent. Routings of dierent messages are independent

USA Email Traffic leaving MIT MIT Server p! (1 - p) ! Foreign

Each output stream is Poisson

Each output stream is Poisson.

Renewal processes
Random incidence for Poisson Poisson process that has been running forever Show up at some random time (really means arbitrary time) Random incidence in processes Series ofrenewal successive arrivals

i.i.d. interarrival times Series of successive arrivals (but not necessarily exponential)
i.i.d. interarrival times (but not necessarily exponential)

x Chosen time instant

x Time

Example: interarrival times are equally likely to Bus Example: be 5 10 minutes Bus or interarrival times are equally likely to If you arrive at a random time: what is the probability that you selected awhat is the probability that you selected 5 minute interarrival interval? what is the expected time to next ar rival? what is the expected time
to next arrival? a 5 minute interarrival interval? If you arrive at a random time: be 5 or 10 minutes

What is the distribution of the length of the chosen interarrival interval?

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6.041 / 6.431 Probabilistic Systems Analysis and Applied Probability

Fall 2010

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